Fast American Monte Carlo

10 Pages Posted: 7 Jan 2005

Date Written: January 5, 2005

Abstract

Within the American Monte Carlo framework, we present a method to combine least-squares regression with variance reduction techniques. Our method, based on constructing dynamic control variates, results in significant speed increase, as well as as higher accuracy in the exercise strategy estimation. Furthermore, we provide new results on the speed of convergence of the least-squares American Monte Carlo method.

Keywords: American Monte Carlo, least-squares regression, variance reduction

JEL Classification: C00, G1

Suggested Citation

Moni, Claudio, Fast American Monte Carlo (January 5, 2005). Available at SSRN: https://ssrn.com/abstract=643483 or http://dx.doi.org/10.2139/ssrn.643483

Claudio Moni (Contact Author)

JP Morgan ( email )

London
United Kingdom

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